EFTA01184920

From: Daniel Sabba To: "jeffrey E.11 <jeevacation@grnail.com> Subject: RE: Jeffrey, an idea for you - 10x payout EUR digitals [I] Date: Mon, 02 Feb 2015 14:49:43 +0000 Inline-Images: image001.png; image002.png; image003.jpg; image004.gif Classification: For internal use only Looking back, this was a good trade. It would have realized 10x payout today. Your view was right. From: Daniel Sabbafdbfdbcom To: ieevacaticoRgmail.ccm. Cc: Paul Mords/db/dbcom DBAMERICAS. Vahe Stepanianklb/dbcom®DBAmericas. Stewart OldfielcVdb/dbcom@DBAMERICAS. Dale: 10/24/2014 08:57 AM Subject: Jeffrey, an idea for you - 10x payout EUR digitals Jeffrey, This is a trade that is getting a lot of attention from hedge fund principals. Paul told me you have an options background and we thought this might be interesting for you. We solved for the expiries European put digitals on EURUSD would need to have for the structure to have 10x payout at expiry. Buy European digital puts in EURUSD Spot Ref: 1.2655 Strike: 1.2000 Payout: If EURUSD at or below 1.2000 at expiry: USD10mm If EURUSD above 1.2000 at expiry: USD 0 Expiry: 02/01/15 Premium Offer: USD1mm (10x payout) While implied vol in EURUSD has gone up a bit since the summer, it is still very low for historical standards. Many catalysts for why a EUR sell-off could happen, from renewed ECB monetary expansion, weak data out of Germany and faster US recovery leading to a stronger USD, between others. 3m ATMF implied vol in EURUSD (source: Bloomberg) EURUSDV3t1 /. HGN 7.0350 / 2800 ilL% At 8:36 ; 7.3225 7.3425 la 7.1575 Close 7.2975 F1 1 l'A-1 -31 E:•-.11 COI Line Chafe, 10/26/2009 10/14/1014 =Ea corrq,me •••v-==lell=ralallal re .1., Uat'y N. rat...Tv/Study Y Event es 1 18.0000 IM Last Price 7.1575 i T High on 09/26/11 17.6100 ..16.0000 .40.- Average 1 Low on 07/14/14 10.2742 4,7800 *14.0000 12.0000 N-10.0000 8.0000 6.0000 • • • • .- 4.0000 )9 1 2010 1 2011 1 2012 1 2013 1 2014 A...relic GI 2 )777 0000 erassI 5511 2040 4500 Europe 44 29 7330 7500 Goner., 45 4, 0206 1210 Nana Kong 652 an 6000 Japan AI 3 2201 0903 esm9oere *5 *212 IOCO U.S. I 212 210 2000 Co 101.1 2014 oicoorsoro Innen** L.P. p. eavvol CPT cam-4.00 MCCa.3,5-, 2a-004-Z01a 019•48•24 EFTA01184920 Please note all prices are indicative and subject to change without notice. Regards, Daniel Daniel Sabba Director I Key Client Partners Deutsche Bank Securities Inc NY10154 Deutsche Asset 8. Wealth Management 345 Park Avenue. 26th Floor New York Derivatives are financial transactions based upon one or more predetermined market factors where periodic payments (or a one - time lump - sum payment) are made by each of the parties to the transaction based upon the value of the market factor or factors. The amount of the payment(s) will either be set at a fixed amount or fluctuate as the value of the underlying market factor fluctuates. The underlying market factors are items or variables which are subject to market fluctuations; for example, interest rates, currency exchange rates, assets, stock prices, stock index levels, commodities or a combination of one or more of these factors. Derivatives are normally used either as a hedging device or as an investment vehicle. Over - the - counter (OTC) derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk. In certain transactions, you could lose your entire investment or incur unlimited loss. This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01184921